Bootstrap algorithm for building yield curves with piecewise flat continuously compounded forward rates.
Download pwflat.zip, extract all files to any folder and open
pwflat.xlsx. Use Ctrl-Alt-F9 to recalculate the workbook after opening it.
Select a cell containing a function, start the Function Wizard, and click on
Help on this function to see the documentation.
If you are using Vista or Windows 7 you may need to right click on
utility.chm, choose Properties, and Unblock this file.